Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0503
Annualized Std Dev 0.4517
Annualized Sharpe (Rf=0%) 0.1113

Row

Daily Return Statistics

Close
Observations 2964.0000
NAs 1.0000
Minimum -0.2332
Quartile 1 -0.0148
Median 0.0014
Arithmetic Mean 0.0006
Geometric Mean 0.0002
Quartile 3 0.0164
Maximum 0.1498
SE Mean 0.0005
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0016
Variance 0.0008
Stdev 0.0285
Skewness -0.4231
Kurtosis 4.8500

Downside Risk

Close
Semi Deviation 0.0208
Gain Deviation 0.0182
Loss Deviation 0.0209
Downside Deviation (MAR=210%) 0.0250
Downside Deviation (Rf=0%) 0.0205
Downside Deviation (0%) 0.0205
Maximum Drawdown 0.7166
Historical VaR (95%) -0.0439
Historical ES (95%) -0.0664
Modified VaR (95%) -0.0467
Modified ES (95%) -0.0849
From Trough To Depth Length To Trough Recovery
2011-04-27 2016-01-20 2021-02-11 -0.7166 2462 1190 1272
2010-04-15 2010-05-20 2010-10-01 -0.3308 119 26 93
2010-01-11 2010-02-08 2010-04-05 -0.2790 58 20 38
2009-06-12 2009-06-22 2009-07-20 -0.2061 26 7 19
2009-10-15 2009-10-30 2009-11-16 -0.1964 23 12 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA 3.3 0.8 -4.1 -5.5 -9.2 5.6 0.7 -8.8
2010 3.8 3.4 5.2 -1.9 -3.5 0.3 0.6 6.9 3.2 2.2 5.8 1.4 30.3
2011 4.9 -2.1 3.1 1.4 -3.4 2.9 -0.5 -1 -9.2 -4.9 -0.8 0.6 -9.4
2012 4.2 2.3 1.5 1.4 -5.9 11.1 -0.4 1.9 2 2.9 -0.3 2.8 25.3
2013 1.2 0.4 -2.2 -2.4 -3.3 0.3 3.5 0.9 3.9 -1.2 2.4 1.2 4.6
2014 0.5 -1.3 1.4 0.1 -1.9 1.8 1.7 -0.3 -3.8 1 -3.3 -0.4 -4.6
2015 -5.2 0.6 2.4 0.9 -1.2 -0.9 2.2 -7.9 1.5 0.3 2.2 -1.1 -6.7
2016 -1.1 7.3 -1.3 -0.5 0.1 2.7 -0.3 1.7 1.3 -1.6 -2.7 -1.5 3.7
2017 -0.7 2.8 -1.3 0.6 1.5 1.8 1.3 0.9 2.4 1.3 -1.4 1.4 10.8
2018 -2.6 -0.4 3.7 -0.9 2.5 3.7 -1.3 1.5 0.1 5.9 -0.9 -0.9 10.7
2019 -1.4 -0.2 3 -1.5 0.8 2.9 -4.3 1.5 -1.2 3.2 -2.9 0.7 0.4
2020 -4.1 -1.1 -8.4 -6.7 3.8 2.7 -1.6 3 1.9 -2.5 3.7 -0.4 -10.1
2021 5.5 5.7 2.2 NA NA NA NA NA NA NA NA NA 13.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-06-04  58.0 SPY    94.5  0.0094   0.0397   0.0437    0.374   -0.315   -0.267   -0.164 GLD    96.2  1.93e-2  0.0211 
2 2009-06-05  58.0 SPY    94.6  0.0002   0.0218   0.0261    0.372   -0.328   -0.256   -0.156 GLD    93.7 -2.62e-2 -0.0259 
3 2009-06-08  56.5 SPY    94.2 -0.0041  -0.0064   0.0363    0.382   -0.309   -0.258   -0.167 GLD    93.6 -1.60e-3 -0.0227 
4 2009-06-09  56.6 SPY    94.6  0.0051  -0.0022   0.0179    0.311   -0.307   -0.248   -0.175 GLD    93.8  2.90e-3 -0.0263 
5 2009-06-10  58.0 SPY    94.4 -0.0025   0.008    0.0346    0.300   -0.306   -0.249   -0.178 GLD    93.9  3.00e-4 -0.00580
6 2009-06-11  60.3 SPY    94.8  0.0044   0.0031   0.0423    0.256   -0.292   -0.244   -0.167 GLD    93.7 -1.70e-3 -0.0263 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart